chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data.Market;
+using Python.Runtime;
+
+namespace QuantConnect.Data.Consolidators
+{
+    /// <summary>
+    /// Type capable of consolidating trade bars from any base data instance
+    /// </summary>
+    public class BaseDataConsolidator : TradeBarConsolidatorBase<BaseData>
+    {
+        /// <summary>
+        /// Create a new TickConsolidator for the desired resolution
+        /// </summary>
+        /// <param name="resolution">The resolution desired</param>
+        /// <returns>A consolidator that produces data on the resolution interval</returns>
+        public static BaseDataConsolidator FromResolution(Resolution resolution)
+        {
+            return new BaseDataConsolidator(resolution.ToTimeSpan());
+        }
+
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the period
+        /// </summary>
+        /// <param name="period">The minimum span of time before emitting a consolidated bar</param>
+        public BaseDataConsolidator(TimeSpan period)
+            : base(period)
+        {
+        }
+
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data
+        /// </summary>
+        /// <param name="maxCount">The number of pieces to accept before emitting a consolidated bar</param>
+        public BaseDataConsolidator(int maxCount)
+            : base(maxCount)
+        {
+        }
+
+        /// <summary>
+        /// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
+        /// </summary>
+        /// <param name="maxCount">The number of pieces to accept before emitting a consolidated bar</param>
+        /// <param name="period">The minimum span of time before emitting a consolidated bar</param>
+        public BaseDataConsolidator(int maxCount, TimeSpan period)
+            : base(maxCount, period)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BaseDataConsolidator"/> class
+        /// </summary>
+        /// <param name="func">Func that defines the start time of a consolidated data</param>
+        public BaseDataConsolidator(Func<DateTime, CalendarInfo> func)
+            : base(func)
+        {
+        }
+
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="BaseDataConsolidator"/> class
+        /// </summary>
+        /// <param name="pyfuncobj">Func that defines the start time of a consolidated data</param>
+        public BaseDataConsolidator(PyObject pyfuncobj)
+            : base(pyfuncobj)
+        {
+        }
+
+        /// <summary>
+        /// Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be
+        /// null following the event firing
+        /// </summary>
+        /// <param name="workingBar">The bar we're building, null if the event was just fired and we're starting a new trade bar</param>
+        /// <param name="data">The new data</param>
+        protected override void AggregateBar(ref TradeBar workingBar, BaseData data)
+        {
+            if (workingBar == null)
+            {
+                workingBar = new TradeBar
+                {
+                    Symbol = data.Symbol,
+                    Time = GetRoundedBarTime(data.Time),
+                    Close = data.Value,
+                    High = data.Value,
+                    Low = data.Value,
+                    Open = data.Value,
+                    DataType = data.DataType,
+                    Value = data.Value
+                };
+            }
+            else
+            {
+                //Aggregate the working bar
+                workingBar.Close = data.Value;
+                if (data.Value < workingBar.Low) workingBar.Low = data.Value;
+                if (data.Value > workingBar.High) workingBar.High = data.Value;
+            }
+        }
+    }
+}